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~person:"Park, Joon Y."
~person:"Patton, Andrew J."
~subject:"Diffusive and jump volatility"
~subject:"Stochastischer Prozess"
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Diffusive and jump volatility
Stochastischer Prozess
Volatility
38
Volatilität
38
Forecasting model
19
Prognoseverfahren
19
Estimation
16
Schätzung
16
Capital income
15
Kapitaleinkommen
15
Theorie
15
Theory
15
Time series analysis
14
Zeitreihenanalyse
14
ARCH model
9
ARCH-Modell
9
Estimation theory
8
Schätztheorie
8
Analysis of variance
7
Varianzanalyse
7
Börsenkurs
6
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6
Korrelation
6
Share price
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High-frequency data
5
Stochastic process
5
Multivariate Verteilung
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Risikomaß
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Risk measure
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CAPM
3
Financial market
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Finanzmarkt
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Market microstructure
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Marktmikrostruktur
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Option pricing theory
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Optionspreistheorie
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Realized volatility
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Park, Joon Y.
Patton, Andrew J.
McAleer, Michael
66
Asai, Manabu
37
Koopman, Siem Jan
36
Todorov, Viktor
34
Chan, Joshua
33
Cui, Zhenyu
33
Chiarella, Carl
29
Clark, Todd E.
25
Mumtaz, Haroon
25
Escobar, Marcos
24
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Fouque, Jean-Pierre
21
Andersen, Torben
20
Carriero, Andrea
19
Nguyen, Duy
19
Yu, Jun
19
Marcellino, Massimiliano
18
Platen, Eckhard
18
Alòs, Elisa
17
Bos, Charles S.
17
Hafner, Christian M.
17
Martin, Gael M.
17
Rodriguez, Gabriel
17
Takahashi, Akihiko
17
Kang, Boda
16
Renò, Roberto
16
Wong, Hoi Ying
16
Chan, Joshua C. C.
15
Grasselli, Martino
15
Jacquier, Antoine (Jack)
15
Benth, Fred Espen
14
Carr, Peter
14
Forde, Martin
14
Lucas, André
14
Renault, Eric
14
Caporin, Massimiliano
13
Corsi, Fulvio
13
Fabozzi, Frank J.
13
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Journal of econometrics
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Econometric theory
1
Economics letters
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1
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
-
2020
Persistent link: https://www.econbiz.de/10012216029
Saved in:
2
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
Saved in:
3
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
4
A reexamination of stock return predictability
Choi, Yongok
;
Jacewitz, Stefan
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
Saved in:
5
GARCH with omitted persistent covariate
Han, Heejoon
;
Park, Joon Y.
- In:
Economics letters
124
(
2014
)
2
,
pp. 248-254
Persistent link: https://www.econbiz.de/10010493650
Saved in:
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